Conditional probabilities in multiplicative noise processes.

Abstract

We address the calculation of transition probabilities in multiplicative noise stochastic differential equations using a path integral approach. We show the equivalence between the conditional probability and the propagator of a quantum particle with variable mass. Introducing a time reparametrization, we are able to transform the problem of multiplicative noise fluctuations into an equivalent additive one. We illustrate the method by showing the explicit analytic computation of the conditional probability of a harmonic oscillator in a nonlinear multiplicative environment.